Banks make new push on FRTB’s P&L test

Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein

The Bank for International Settlements, Basel
Basel Committee group is working on a set of proposals that would overhaul the regime
Photo: Ulrich Roth

Banks have renewed calls for changes to the new approval regime for market risk capital models, in an attempt to make one of its key tests easier to pass, and to reduce the impact of failure.

Some of the industry’s proposals were described by Eduardo Epperlein, global head of risk methodology at Nomura, who was speaking at the Quant Summit Europe conference in London yesterday (March 7). Without changes, Epperlein warned banks may abandon the use of models altogether, leaving them on the cruder

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here